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Power-law autocorrelated stochastic processes with long-range cross-correlations

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Cited by:

  1. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
  2. Mario Bonino & Matteo Camelia & Paolo Pigato, 2014. "A multivariate model for financial indices and an algorithm for detection of jumps in the volatility," Papers 1404.7632, arXiv.org, revised Dec 2016.
  3. Zhaoyuan Li & Maozai Tian, 2017. "A New Method For Dynamic Stock Clustering Based On Spectral Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 373-392, October.
  4. He, Ling-Yun & Chen, Shu-Peng, 2011. "A new approach to quantify power-law cross-correlation and its application to commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3806-3814.
  5. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
  6. Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng, 2012. "Understanding the source of multifractality in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4234-4251.
  7. Yang, Yujun & Li, Jianping & Yang, Yimei, 2017. "The cross-correlation analysis of multi property of stock markets based on MM-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 23-33.
  8. Li, Ming, 2017. "Record length requirement of long-range dependent teletraffic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 164-187.
  9. Zhao, Xiaojun & Shang, Pengjian & Zhao, Chuang & Wang, Jing & Tao, Rui, 2012. "Minimizing the trend effect on detrended cross-correlation analysis with empirical mode decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 166-173.
  10. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
  11. Zhao, Xiaojun & Shang, Pengjian & Lin, Aijing & Chen, Gang, 2011. "Multifractal Fourier detrended cross-correlation analysis of traffic signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3670-3678.
  12. Delignières, Didier & Marmelat, Vivien, 2014. "Strong anticipation and long-range cross-correlation: Application of detrended cross-correlation analysis to human behavioral data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 47-60.
  13. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
  14. Zou, Yongjie & Li, Honggang, 2014. "Time spans between price maxima and price minima in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 303-309.
  15. Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  16. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
  17. Li, Ming & Zhang, Peidong & Leng, Jianxing, 2016. "Improving autocorrelation regression for the Hurst parameter estimation of long-range dependent time series based on golden section search," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 189-199.
  18. Li, Jin & Chen, Chen & Yao, Qin & Zhang, Peng & Wang, Jun & Hu, Jing & Feng, Feilong, 2018. "The effect of circadian rhythm on the correlation and multifractality of heart rate signals during exercise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1207-1213.
  19. Maharaj, Elizabeth Ann & D’Urso, Pierpaolo, 2010. "A coherence-based approach for the pattern recognition of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3516-3537.
  20. Zhou, Yu & Chen, Shi, 2016. "Cross-correlation analysis between Chinese TF contracts and treasury ETF based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 117-127.
  21. Linda Ponta & Silvano Cincotti, 2018. "Traders’ Networks of Interactions and Structural Properties of Financial Markets: An Agent-Based Approach," Complexity, Hindawi, vol. 2018, pages 1-9, January.
  22. Siqueira, Erinaldo Leite & Stošić, Tatijana & Bejan, Lucian & Stošić, Borko, 2010. "Correlations and cross-correlations in the Brazilian agrarian commodities and stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2739-2743.
  23. Lin, Aijing & Shang, Pengjian & Zhong, Bo, 2014. "Hidden cross-correlation patterns in stock markets based on permutation cross-sample entropy and PCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 259-272.
  24. Ahn, Sanghyun & Lim, G.C. & Kim, S.H. & Kim, Soo Yong & Yoon, Kwon Youb & Stanfield, Joseph Lee & Kim, Kyungsik, 2011. "Analysis of stock prices of mining business," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2340-2349.
  25. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX," Energy Economics, Elsevier, vol. 59(C), pages 167-178.
  26. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  27. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
  28. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3754-3766.
  29. Shi, Yong & Li, Bo & Du, Guangle & Dai, Wei, 2021. "Clustering framework based on multi-scale analysis of intraday financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
  30. Shi, Wenbin & Shang, Pengjian & Wang, Jing & Lin, Aijing, 2014. "Multiscale multifractal detrended cross-correlation analysis of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 35-44.
  31. Huang, Jingjing & Shang, Pengjian, 2015. "Multiscale multifractal diffusion entropy analysis of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 221-228.
  32. Gajardo, Gabriel & Kristjanpoller, Werner, 2017. "Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 121-128.
  33. Liu, Li-Zhi & Qian, Xi-Yuan & Lu, Heng-Yao, 2010. "Cross-sample entropy of foreign exchange time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4785-4792.
  34. Schmitt, Noemi & Westerhoff, Frank, 2014. "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
  35. Cao, Guangxi & Cao, Jie & Xu, Longbing & He, LingYun, 2014. "Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 460-469.
  36. Stan, Cristina & Marmureanu, Luminita & Marin, Cristina & Cristescu, Constantin P., 2020. "Investigation of multifractal cross-correlation surfaces of Hurst exponents for some atmospheric pollutants," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  37. Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.
  38. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
  39. Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
  40. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 864-875.
  41. Wu, Liang & Chen, Lei & Ding, Yiming & Zhao, Tongzhou, 2018. "Testing for the source of multifractality in water level records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 824-839.
  42. Ma, Feng & Wei, Yu & Huang, Dengshi, 2013. "Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1659-1670.
  43. Li, Ming, 2020. "Multi-fractional generalized Cauchy process and its application to teletraffic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
  44. Gao, Yan & Gao, Yao, 2015. "Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 293-307.
  45. Shahzad, Syed Jawad Hussain & Bouri, Elie & Kayani, Ghulam Mujtaba & Nasir, Rana Muhammad & Kristoufek, Ladislav, 2020. "Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
  46. Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.
  47. Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
  48. He, Ling-Yun & Chen, Shu-Peng, 2011. "Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 297-308.
  49. Duan, Wen-Qi & Stanley, H. Eugene, 2011. "Cross-correlation and the predictability of financial return series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 290-296.
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